fourth quarter 2011 earnings review · fourth quarter 2011 earnings review. january 17, 2012. on...
TRANSCRIPT
Fourth Quarter 2011 Earnings ReviewJanuary 17, 2012
On February 9, 2012, Citi announced an adjustment to its fourth quarter and full year 2011 financial results to reflect an additional $209 million of after-tax ($275 millionpre-tax) charges to increase its litigation reserves related to the announced agreement in principle with the United States and with the Attorneys General for 49 states andthe District of Columbia to settle a number of related investigations into residential loan servicing and origination practices, as well as the resolution of related mortgagelitigation. These charges are not reflected in the fourth quarter 2011 press release and investor presentation, each dated January 17, 2012. For additional information,see Citi's 2011 Annual Report on Form 10-K, filed with the U.S. Securities and Exchange Commission on February 24, 2012.
1
Highlights
Difficult capital markets environment in 4Q’11– Substantial macro uncertainty drove lower market activity
Consumer Banking and Transaction Services continued to growCiti Holdings continued to shrink
– Holdings assets declined $90B in 2011 to $269B– Further $45B of assets in Retail Partner Cards to move to Citicorp in
1Q’12
Going forward, European sovereign debt crisis remains an overhangCiti remains focused on expenses
– Largely through the current investment cycle– Expenses currently expected to decline in 2012
2
Citigroup – Summary Income Statement
Note: All per share numbers, throughout this presentation, reflect Citigroup’s 1-for-10 reverse stock split, which was effective May 6, 2011. Totals may not sum due to rounding.
(1) Includes provision for unfunded lending commitments.
3
Significant P&L Items
Note: All items above are pre-tax, with the exception of the Japan DTA write-down.(1) Credit valuation adjustment (CVA) on derivatives, net of hedges, and debt valuation adjustment (DVA) on Citigroup's fair value option debt. (2) As previously disclosed, the Japan DTA write-down arose due to a decrease in the corporate income tax rate in Japan.
($MM) 4Q’11 3Q’11 4Q’10
Revenue Items – Credit Spread Driven:
Citigroup CVA / DVA $ (40) $ 1,938 $ (1,102)
S&B Lending Hedges (292) 647 (258)
Total (332) 2,585 (1,360)
Operating Expense Items:
Legal and Related Costs $ 557 $ 274 $ 369
Repositioning Charges 428 208 174
Total 985 482 543
Tax Item – Japan DTA Write-Down 300 - -
(1)
(2)
4
Citigroup – Summary Income Statement
Note: Totals may not sum due to rounding.(1) Includes provision for unfunded lending commitments.(2) Citigroup pre-tax CVA / DVA recorded in Securities and Banking and Special Asset Pool totaled $(1,102)MM, $1,938MM, and $(40)MM in 4Q’10, 3Q’11, and
4Q’11, respectively. Assumes tax rates of 38.3%, 37.9%, and 46.3% for 4Q’10, 3Q’11, and 4Q’11, respectively.
5
Citicorp & Citi Holdings – Financial Summary
Note: Corporate / Other and Discontinued Operations, which had net income of $(91)MM in 4Q’11, $(67)MM in 3Q’11 and $(93)MM in 4Q’10, are not shown. Corporate / Other assets were $286B in 4Q’11, $283B in 3Q’11, and $271B in 4Q’10 (for more details please refer to slide 15).
(1) Includes provision for unfunded lending commitments.
6
Citicorp – Key Financial Metrics ($B)
ExpensesRevenues(1) (ex-CVA / DVA)
Net Credit Losses and LLR(1) Earnings Before Taxes (ex-CVA / DVA)
15.618.2
16.2 16.2 15.316.7 16.2 15.8
14.1
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
8.7 8.6 9.2 8.9 9.4 9.6 10.1 9.8 10.2
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
S&B CVA / DVA: (1.9) 0.3 0.3 0.1 (1.0) (0.2) 0.1 1.9 (0.1)
3.3 3.1 3.0 3.0 2.7 2.3 2.2 1.9 1.9
(0.0) (0.4) (0.7) (0.4) (0.7)(1.3) (0.9) (0.6) (0.7)
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
LLRs NCLs
3.5
6.8
4.7 4.63.9
6.04.9 4.6
2.7
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Note:(1) Periods prior to 1Q'10 are on a managed basis. For additional information, see Citigroup's Fourth Quarter 2010 Quarterly Financial Data Supplement furnished as an
exhibit to Form 8-K filed with the U.S. Securities and Exchange Commission on January 18, 2011.
7
Citicorp – North America Consumer Banking
Note: Totals may not sum due to rounding. NM: Not meaningful.
(1) Net credit margin represents total revenues, net of interest expense, less net credit losses and provision for benefits and claims.
Revenues – Lower YoY driven by the
impact of the look-back provisions of CARD Act and decline in average card loans, partially offset by higher mortgage-related revenue
– Up QoQ on higher mortgage-related revenues, partly offset by lower yield on card loans
Expenses– Higher YoY and QoQ driven by
increase in interchange litigation reserves and continued investment spending
Credit Costs – NCLs declined 41% YoY to
$1.0B driven by continued improvement in cards
– LLR release of $681MM in 4Q’11, driven by cards
8
Citicorp – International Consumer Banking
Note: Totals may not sum due to rounding. NM: Not meaningful.
(1) Net credit margin represents total revenues, net of interest expense, less net credit losses and provision for benefits and claims.
Revenues– 4Q’11 reported revenue affected
by negative FX impact – YoY (ex-FX): Total up 6%, with
Latam up 9% and Asia up 5% – QoQ (ex-FX): Total up 2%, with
Latam up 5% and Asia up 1%– Sustained growth in accounts,
deposits (ex-FX), loans (ex-FX), and purchase sales, offset by macro-driven weakness in investment sales
Expenses– YoY (ex-FX): Total up 5% due
to investments and severance – QoQ (ex-FX): Total up 3% due
mainly to severance– Asia and Latam achieved
positive operating leverage YoYCredit costs
– YoY NCLs declined 10%– Net LLR build of $72MM driven
by portfolio growth, compared to LLR release in prior year
Net Income– Asia reflects impact of Japan
DTA write-down
9
Citicorp – International Consumer Banking ($B)
Average Loans & Deposits (Constant Dollar $B) Accounts (MM)
Sales (12-Month Trailing Constant Dollar $B) Financial Metrics (12-Month Trailing $B)
76 76 7677 78 78
7980 81
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
106 109 110 114 115 118 121 123 130
143 147 148 153 154 159 162 160 163
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Avg Loans Avg Deposits
96 98 100 103 106
109 113 116
120
85 92 90 88 90 90 89 87
83
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Purchase Sales Investment Sales
2.6 2.8 3.1 3.5 3.9 4.0 4.1 4.3 4.5
11.9 12.3 12.9 13.6 14.3 14.8 15.4 15.9 16.1
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
EBT ex-LLR NCM (1)
Note:(1) Net credit margin represents total revenues, net of interest expense, less net credit losses and provision for benefits and claims.
10
Citicorp – Securities and Banking
Revenues– Investment Banking: Lower
YoY and QoQ on lower activity levels across all products
– Equity Markets: YoY and QoQ lower in Cash on decline in market volumes and weak Derivatives trading
– Fixed Income Markets: YoY and QoQ lower in Credit and Securitized products; YoY decline partly offset by growth in Rates & Currencies; QoQ decline in Rates & Currencies, driven by G10
– Lending: Variances driven by hedge gains / losses
Expenses– Up 2% YoY and 4% QoQ,
driven mainly by severance– Excluding severance, down 4%
YoY on lower incentive comp, FX and lower legal and related costs; roughly flat QoQ
Credit Costs– Higher NCLs YoY and QoQ
driven by cost of loan sales– Smaller net LLR release YoY
due to portfolio growth
Note: Totals may not sum due to rounding. NM: Not meaningful.
11
Citicorp – Transaction Services
Note: Totals may not sum due to rounding. NM: Not meaningful.(1) TTS: Treasury and Trade Solutions.(2) SFS: Securities and Fund Services.(3) Average deposits and other customer liability balances.
Revenues– TTS: YoY growth in trade loans
and deposits, partly offset by continued low rate environment and impact of FX
– SFS: Decline driven by lower settlement volumes, spread compression and impact of FX
Expenses– Up YoY mainly driven by impact
of investments, severance, and higher legal and related costs; up QoQ due to severance and legal and related costs
Despite the slowdown in overall market activity in 4Q’11, balance growth continued YoY and QoQ:
– Average trade loans up over 50% YoY
– Average deposits and other balances up 4% YoY with strong growth in operating balances
– AUCs up ex-FX
12
Citi Holdings – Key Financial Metrics ($B)
ExpensesRevenues(1)
Net Credit Losses and LLR(1) Net Income
5.2 6.6 4.9 3.9 4.0 3.3 4.0 2.8 2.8
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
6.7 5.2 5.0 4.6 4.2 4.0 3.0 2.6 2.2
0.80.3
(0.8) (1.5) (1.5) (2.1) (1.1) (0.8) (0.8)
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
LLRs NCLs
3.1 2.6 2.4 2.2 2.4 2.0 2.2 2.1 2.2
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
(2.6)
(0.9) (1.2) (1.1) (1.0) (0.6) (0.2) (0.8) (0.8)
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Note:(1) Periods prior to 1Q'10 are on a managed basis. For additional information, see Citigroup's Fourth Quarter 2010 Quarterly Financial Data Supplement furnished as an
exhibit to Form 8-K filed with the U.S. Securities and Exchange Commission on January 18, 2011.
Net Revenue Marks:0.2 1.4 1.0 0.5 0.4 0.6 0.9 0.1 0.1
13
Citi Holdings – Financials
Note: Totals may not sum due to rounding. NM: Not meaningful.
Revenues– BAM: Lower YoY due to lower
contribution from MSSB JV– LCL: Declining loan balances– SAP: Lower YoY due to lower
interest earning assets, net losses on asset sales versus net gains in prior year, and lower asset marks
Expenses– Down YoY due to divestitures
and overall lower assets, partly offset by higher legal and related costs
– Up QoQ due to higher legal and related costs
Credit costs– NCLs down 47% YoY to $2.2B,
mainly due to continued improvement in Retail Partner Cards, N.A. Mortgages, and SAP
– LLR: Release of $0.8MM; $0.7B lower YoY, mainly driven by SAP
14
Citi Holdings – Asset Summary
4Q’11 3Q’11 %∆
827
359 337308 289 269
45
1Q'08 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
$(558)B(1)
EOP Assets ($B)
Note: The adoption of SFAS 166 / 167 brought $43B on balance sheet as of January 1, 2010. Totals may not sum due to rounding.(1) Peak quarter.(2) Preliminary. Adjusted for the announced transfer of the vast majority of Retail Partner Cards into Citicorp, Holdings assets would be approximately $225B.
(2)
15
Corporate / Other
Note: Totals may not sum due to rounding. NM: Not meaningful.
Revenues: YoY increase mainly driven by hedging activities, partly offset by lower investment yields and lower gains on sales of AFS securities
Net income: Increase in revenues and lower legal and related expenses versus prior period
Assets: Cash and deposits with banks plus liquid AFS investments represent 79% of Corporate / Other assets
16
FY2010 Episodic Legal &Related
Reposi-tioning
FX Adj.FY2010
Constant $
Investments Efficiency Saves
All Other Operating
Adj.FY2011
Episodic Legal & Related
Reposi-tioning
FY2011
Citigroup – Full Year Expense Drivers Year-over-Year Change ($B)
~~
Core operating variance: +$1.0B
48.047.4 (0.7) 47.0
3.9
(1.0)
50.70.72.0
(0.5) (1.9)0.8
~
Year-over-year, core operating expenses up 2.1% on a constant dollar basis
6.9%
(1)
Note: Totals may not sum due to rounding.(1) Includes volumes, divestitures, and all other operating expenses.
2.1%
~
17
Citigroup – Net Credit Losses and Reserves ($B)
Corporate
Consumer
10.0 8.4 8.0 7.7 6.9 6.3 5.1 4.5 4.1
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
0.8
(0.1)(1.5) (2.0) (2.3) (3.3)
(2.0) (1.4) (1.5)
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
0.4 0.3 0.1
(0.5) (0.2) (0.3)
2Q'11 3Q'11 4Q'11
4.8 4.2 4.0
(1.5) (1.2) (1.2)2Q'11 3Q'11 4Q'11
3.03.3
(0.1) 0.1
Net Credit Losses(1)
Loan Loss Reserves(2)
Note: Totals may not sum due to rounding.(1) Periods prior to 1Q'10 are on a managed basis. For additional information, see Citigroup's Fourth Quarter 2010 Quarterly Financial Data Supplement furnished as an
exhibit to Form 8-K filed with the U.S. Securities and Exchange Commission on January 18, 2011.(2) Loan loss reserves include provision for unfunded lending commitments and credit reserve builds / releases.
4Q’11 LLR ratio = 4.7%
(0.2)
2.8
18
Citigroup – International Consumer Credit Trends ($B)
Citicorp – Latin America Consumer BankingCiticorp – Asia Consumer Banking
Citicorp – EMEA Consumer Banking Holdings – International LCL
0.77% 0.71% 0.63% 0.61% 0.57% 0.56% 0.59% 0.52% 0.50%
1.83%1.58%1.42% 1.30% 1.19% 1.05% 1.05% 1.08% 0.96%
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCL
2.86% 2.73% 2.59% 2.37% 1.98% 1.95% 1.90% 1.82% 1.68%
8.18%7.00%
6.07% 5.72% 5.42% 4.78% 4.59% 4.37% 4.81%
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCL
2.61% 2.47% 2.74% 2.38% 2.03% 1.84% 1.69% 1.60% 1.48%
6.44%
5.18% 4.88%
3.57%4.14%
2.76% 2.51% 2.70%
1.53%
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCL
4.22%3.44%
2.94% 2.89% 3.00% 3.15% 3.19% 3.24%3.91%
8.74%8.27%
7.61%7.05%
6.32%7.32%
6.41%5.91% 5.32%
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCL
EOP 4Q’10 3Q’11 4Q’11Loans $81.1 $84.5 $87.2
EOP 4Q’10 3Q’11 4Q’11Loans $33.8 $34.9 $37.7
EOP 4Q’10 3Q’11 4Q’11Loans $7.0 $7.0 $6.9
EOP 4Q’10 3Q’11 4Q’11Loans $21.9 $14.8 $10.8
19
Citigroup – N.A. Cards Credit Trends
9.9% 9.8% 9.4% 9.5% 9.4% 8.9% 9.1% 9.0% 8.5%Unemployment Rate
2.82% 2.97% 2.76% 2.36% 2.06% 1.96% 1.64% 1.43% 1.32%
9.30%10.67% 10.78%
9.81%8.79%
7.42% 6.81%5.94% 5.31%
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCLs
Citi-Branded Cards ($B)
4.42% 4.36% 3.98% 3.78% 3.45% 3.15% 2.53% 2.47% 2.46%
12.81% 13.72% 13.41%12.24% 11.71%
10.29%9.17%
7.51% 7.28%
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCLs
Retail Partner Cards ($B)
EOP Loans: ▪ 4Q’10: $77.5 ▪ 3Q’11: $73.8 ▪ 4Q’11: $75.9
EOP Loans: ▪ 4Q’10: $46.4 ▪ 3Q’11: $41.1 ▪ 4Q’11: $42.8
Note:(1) Periods prior to 1Q'10 are on a managed basis. For additional information, see Citigroup's Fourth Quarter 2010 Quarterly Financial Data Supplement furnished as
an exhibit to Form 8-K filed with the U.S. Securities and Exchange Commission on January 18, 2011.Source: U.S. Bureau of Labor Statistics
(1)
20
Citi Holdings – N.A. Mortgage Credit Trends
(2.4)% 2.3% 3.8% (1.3)% (3.7)% (5.0)% (5.8)% (3.9)% n/aS&P / Case-Shiller Home Price Index(1)
$10.80$9.53
$7.92$6.90
$5.56$4.53 $3.93 $3.82 $4.08
$0.99 $0.75 $0.69 $0.59 $0.50 $0.55 $0.46 $0.44 $0.41
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCLs
$1.60$1.40 $1.37 $1.33 $1.30
$1.17$1.04 $1.01 $1.01$1.10
$0.95 $0.86 $0.79 $0.77 $0.71 $0.63 $0.54 $0.53
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCLs
EOP Loans: ▪ 4Q’10: $80.1 ▪ 3Q’11: $69.6 ▪ 4Q’11: $67.5
EOP Loans: ▪ 4Q’10: $45.5 ▪ 3Q’11: $41.3 ▪ 4Q’11: $40.0
Residential 1st Mortgages ($B)
Home Equity Loans ($B)
Note: Loans 90+ days past due exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies, because the potential loss predominantly resides with the U.S. agencies, and loans recorded at fair value since 1Q’10.
(1) Year-over-year change in the S&P / Case-Shiller U.S. National Home Price Index. Fourth quarter 2011 not yet available.
21
Conclusions
Note:(1) Tangible book value per share is a non-GAAP measure. For a reconciliation of this measure to the most directly comparable GAAP measure, see slide 46.
Continued to execute strategy in difficult operating environment – Continued growth in International Consumer Banking – 3rd consecutive quarter of sequential growth in North America Consumer Banking– Solid Treasury & Trade Services growth despite continued low rate environment– Continued Holdings wind down in an economically rational manner
Maintained expense discipline, while executing on investment strategy – Asia and Latin America RCB achieved positive operating leverage in 4Q'11 – Focused on aligning capacity with size of opportunities in S&B– 2011 investments largely funded with productivity savings and Holdings reduction
Effective risk management– Continued to grow emerging markets loan portfolio in a disciplined manner– Citi Holdings at 12% of total Citi assets (with transfer of Retail Partner Cards) – Further de-risking legacy mortgages and carefully managing European exposures
Strong balance sheet– Tangible book value per share increased to $49.81(1)
– LLR ratio of 4.7%– Tier 1 Common ratio increased to 11.8%
22
APPENDIXTable of Contents
23. Citigroup – Key Capital Metrics24. Citigroup – Net Interest Margin25. Citigroup – CVA / DVA26. Citigroup – 4Q’11 Country Risk
Exposure Summary27. Citigroup – 4Q’11 Country Risk
Exposure Summary (cont’d)28. Citigroup – 4Q’11 Additional Mortgage
Details29. Citigroup – Consumer Mortgage Reps &
Warranties30. Citigroup – N.A. Consumer Mortgage
Credit Trends31. Citigroup – International
Consumer Credit32. Citigroup – Estimated FX Impact on Key
P&L Metrics33. Citigroup – 4Q’11 Expense Drivers34. Citicorp – EM / DM Key
Financial Metrics
35. Citicorp RCB – EM / DM KeyFinancial Metrics
36. Citicorp ICG – EM / DM KeyFinancial Metrics
37. Citicorp – International RCB Revenue ex-FX
38. Citicorp – Drivers in Constant $39. Citicorp – Drivers in Constant $ (cont’d)40. Citicorp – Retail Partner Cards Transfer41. Citi Holdings – LCL EBT by Business42. Citi Holdings – N.A. Residential 1st
Mortgage Delinquencies 43. Citi Holdings – N.A. Home Equity Loan
Delinquencies 44. Citi Holdings – SAP Assets45. Citi Holdings – SAP AFS / HTM
Assets 46. Non-GAAP Financial Measures
23
Citigroup – Key Capital Metrics
11.7% 11.3% 12.0% 12.5% 12.9% 13.3% 13.6% 13.5% 13.6%15.3% 14.9% 15.6% 16.1% 16.6% 17.0% 17.2% 16.9% 17.0%
9.6% 9.1% 9.7% 10.3% 10.8% 11.3% 11.6% 11.7% 11.8%
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Tier 1 Capital Total Capital Tier 1 Common
(1)
$1,089 $1,064 $1,025 $1,004 $978 $992 $993 $984 $974Risk-Weighted Assets ($B)
Note: The adoption of SFAS 166 / 167 in 1Q'10 reduced Tier 1 Common, Tier 1 Capital and Total Capital ratios by 138, 141, and 142 basis points, respectively, and increased risk-weighted assets by $24B. The exiting of the loss-sharing agreement with the U.S. Government increased 4Q’09 risk-weighted assets by approximately $136B.
(1) Preliminary.
24
Citigroup – Net Interest Margin
$1.67 $1.78 $1.79 $1.71 $1.73 $1.72 $1.75 $1.72 $1.67
2.66%
3.32% 3.15% 3.06% 2.95% 2.88% 2.82% 2.83% 2.90%
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Average Interest-Earning Assets ($T) NIM
Note:(1) Preliminary.
(1)
25
Citigroup – CVA / DVA
Note: Totals may not sum due to rounding.(1) Net of hedges.(2) Includes Private Bank.
($MM) 4Q’11 3Q’11 4Q’10 FY2011 FY2010
Securities and Banking
DVA on Citi Liabilities at Fair Value $43 $1,574 $(795) $1,746 $(579)
Derivatives CVA(1,2) (116) 314 (244) (14) 179
Total Securities and Banking CVA / DVA $(74) $1,888 $(1,038) $1,732 $(399)
Special Asset Pool
DVA on Citi Liabilities at Fair Value $(2) $32 $(11) $28 $(10)
Derivatives CVA(1) 36 19 (52) 46 (59)
Total Special Asset Pool CVA / DVA $34 $50 $(63) $74 $(69)
Total Citigroup CVA / DVA $(40) $1,938 $(1,102) $1,806 $(469)
26
Citigroup – 4Q’11 Country Risk Exposure Summary ($B)
Note: Information based on Citi’s internal risk management measures.(1) Greece, Ireland, Italy, Portugal, and Spain.(2) Includes the net credit exposure arising from secured financing transactions, such as repos and reverse repos. Does not include unfunded commitments. For
additional details on unfunded commitments, see slide 27.(3) Margin posted under legally-enforceable margin agreements and collateral pledged under bankruptcy-remote structures.(4) Credit protection purchased from financial institutions predominately outside of GIIPS, France, and Belgium. Credit protection may not be effective to protect
against all types of losses.
France As of December 31, 2011 GIIPS & Belgium(1)
27
Citigroup – 4Q’11 Country Risk Exposure Summary ($B)
As of December 31, 2011 FranceUnfunded Commitments GIIPS & Belgium
(1)
Note: Information based on Citi’s internal risk management measures.(1) Greece, Ireland, Italy, Portugal, and Spain.
28
Citigroup – 4Q’11 Additional Mortgage Details
Third party servicing portfolio: $396B– Retained rep & warranty liability for an additional $25B of sold servicing– $1.2B repurchase reserve for rep & warranty claims as of 4Q’11
Private label RMBS: $91B of total issuance during 2005-2008– CitiMortgage: $25B of issuance
Reduced by $13B of repayments and $1B of cumulative losses
Remaining $11B has 90+ day delinquency rate of 12.9%
– S&B: $66B of issuanceReduced by $34B of repayments and $9B of cumulative losses
Remaining $23B has 90+ day delinquency rate of 27.2%
FHA origination cut significantly over past 3 years– In 2005-2008, Citi originated ~7% of industry volume– Reduced to ~3% by 2009, and <1% for 2010-2011
Note:(1) The $11B of outstanding CitiMortgage issuance is included in the $396B servicing portfolio above.(2) For Securities and Banking, fewer than 2% of mortgages outstanding were originated by Citi; fewer than 10% of mortgages outstanding are serviced by Citi (such
mortgages are included in the $396B servicing portfolio above).
(1)
(2)
29
$MM 3Q’11 4Q’11
Beginning balance $1,001 $1,076
Additions for new sales(2) 5 7
Change in estimate(2) 296 305
Losses realized (226) (200)
Ending balance $1,076 $1,188
$952 $969 $944 $1,001 $1,076 $1,188
3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Repurchase Reserve Balance ($MM)
4.3 7.1
11.8 14.3
0.8
1.2
1.2
1.7
5.1
8.3
13.0
16.0
2008 2009 2010 2011
(Number of Loans ‘000)
1.2 2.3
3.5
6.6
0.2 0.2
0.2
0.2
1.3
2.5
3.7
6.8
2008 2009 2010 2011
GSEsPrivate Investors
42.4
14.3
Claims Repurchases(1)
Citigroup – Consumer Mortgage Reps & Warranties
Note: Totals may not sum due to rounding.(1) Includes loans repurchased and make-whole payments.(2) Flows through the profit and loss statement (contra-revenue item).
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(2.4)% 2.3% 3.8% (1.3)% (3.7)% (5.0)% (5.8)% (3.9)% n/a
Citigroup – N.A. Consumer Mortgage Credit Trends
S&P / Case-Shiller Home Price Index(1)
$10.80$9.59
$8.03$7.02
$5.70$4.68 $4.08 $3.99 $4.27
$0.99 $0.75 $0.70 $0.60 $0.51 $0.57 $0.48 $0.46 $0.43
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCLs
$1.61$1.41 $1.38 $1.34 $1.32
$1.19$1.05 $1.03 $1.02$1.10
$0.95 $0.86 $0.80 $0.77 $0.72 $0.63 $0.55 $0.54
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
90+DPD NCLs
EOP Loans: ▪ 4Q’10: $99.6 ▪ 3Q’11: $95.1 ▪ 4Q’11: $95.4
EOP Loans: ▪ 4Q’10: $49.4 ▪ 3Q’11: $44.9 ▪ 4Q’11: $43.5
Residential 1st Mortgages – Citigroup ($B)
Home Equity Loans – Citigroup ($B)
Note: Loans 90+ days past due exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies, because the potential loss predominantly resides with the U.S. agencies, and loans recorded at fair value since 1Q’10.
(1) Year-over-year change in the S&P / Case-Shiller U.S. National Home Price Index. Fourth quarter 2011 not yet available.
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Citigroup – International Consumer Credit
Note: For 4Q’11, Citicorp total end of period loans was $131.7B and total NCLs were $0.7B; Citi Holdings total end of period loans was $10.8B and total NCLs were $0.2B. Holdings includes international local consumer lending.
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Citigroup – Estimated FX Impact on Key P&L Metrics
Note: Totals may not sum due to rounding.
Year-over-Year Impact ($B) 1Q’11 2Q’11 3Q’11 4Q’11 FY2011
Revenues $0.3 $0.7 $0.4 $(0.3) $1.1
Expenses 0.2 0.5 0.3 (0.2) 0.8
Cost of Credit 0.1 0.1 0.1 (0.0) 0.2
Earnings Before Taxes $(0.0) $0.1 $0.1 $(0.1) $0.0
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4Q'10 Episodic Legal &Related
Reposi-tioning
FX Adj.4Q'10
Constant $
Investments Efficiency Saves
All Other Operating
Adj.4Q'11
Episodic Legal &Related
Reposi-tioning
4Q'11
Citigroup – 4Q’11 Expense Drivers (YoY) Year-over-Year Change ($B)
12.012.5 (0.4)
11.81.1
(0.4)12.9
Core operating variance: +$182MM
0.4
3.7%
0.6(0.2)(0.5)
(0.2)
(1)
~ ~~~
Year-over-year, core operating expenses up 1.5% on a constant dollar basisNote: Totals may not sum due to rounding.(1) Includes volumes, divestitures, and all other operating expenses.
1.5%
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Citicorp – EM / DM Key Financial Metrics ($B) Emerging Markets Developed Markets
Earnings Before Taxes (ex-CVA / DVA)Revenues(1) (ex-CVA / DVA)
Average Deposits Average Loans(1)
314 312 312 316 332 341 353 347 345
431 410 412 427 428 427 434 436 439
745 722 724 743 760 768 788 783 784
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
157 159 163 172 183 192 207 214 220
204 220 215 212 213 216 224 227 234 362 379 378 384 396 408 431 441 455
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Note: Totals may not sum due to rounding.(1) Periods prior to 1Q'10 are on a managed basis For additional information, see Citigroup's Fourth Quarter 2010 Quarterly Financial Data Supplement furnished as
an exhibit to Form 8-K filed with the U.S. Securities and Exchange Commission on January 18, 2011.
7.1 7.0 7.0 7.4 7.5 7.4 7.8 7.9 7.5
8.5 11.2 9.2 8.8 7.8 9.3 8.4 7.9 6.6
15.618.2
16.2 16.2 15.3 16.7 16.2 15.814.1
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
2.3 3.0 3.0 3.4 2.9 3.2 3.0 3.1 2.51.2
3.9 1.7 1.2 1.0 2.9 1.9 1.5
0.2
3.5
6.84.7 4.6 3.9
6.04.9 4.6
2.7
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
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Citicorp RCB – EM / DM Key Financial Metrics ($B) Emerging Markets Developed Markets
Earnings Before TaxesRevenues (1)
Average Deposits Average Loans(1)
3.9 3.9 3.9 4.0 4.1 4.1 4.4 4.4 4.2
4.0 4.2 4.1 4.2 4.0 3.8 3.8 3.9 4.0
7.9 8.1 8.0 8.2 8.2 7.9 8.2 8.3 8.2
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'110.4
1.0 1.2 1.3 1.0 1.2 1.1 1.1 0.90.1
0.20.2 0.4 0.7
1.0 1.1 1.2 1.2
0.5
1.2 1.5
1.7 1.7 2.2 2.2 2.3 2.1
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
115 115 119 121 125 131 136 133 131
177 172 173 175 177 177 179 180 181
292 287 291 296 302 307 315 313 311
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
93 94 95 99 103 108 114 114 114
132 126 121 120 120 122 123 124 126
225 220 216 219 224 230 237 239 241
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Note: Totals may not sum due to rounding.(1) Periods prior to 1Q'10 are on a managed basis. For additional information, see Citigroup's Fourth Quarter 2010 Quarterly Financial Data Supplement furnished as
an exhibit to Form 8-K filed with the U.S. Securities and Exchange Commission on January 18, 2011.
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Citicorp ICG – EM / DM Key Financial Metrics ($B) Emerging Markets Developed Markets
Earnings Before Taxes (ex-CVA / DVA)Revenues (ex-CVA / DVA)
Average Deposits Average Loans
198 197 193 195 206 210 217 213 214
254 238 239 252 251 251 255 256 258
452 435 432 446 458 461 472 469 472
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
65 65 68 73 80 84 93 100 106
72 93 94 92 92 94 101 102 108 138 158 162 165 172 178
194 202 214
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
Note: Totals may not sum due to rounding.
3.3 3.2 3.1 3.4 3.4 3.3 3.4 3.5 3.2
4.47.0
5.1 4.6 3.7 5.5 4.6 4.02.6
7.7
10.2 8.2 8.0 7.1
8.8 8.0 7.6 5.9
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
1.9 1.9 1.8 2.1 1.9 2.0 1.9 2.0 1.61.1
3.7 1.5 0.8 0.3 1.9 0.7 0.3
(1.0)
3.0
5.6
3.3 2.9 2.2 3.9
2.6 2.4 0.6
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
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Citicorp – International RCB Revenue ex-FX
Note: Totals may not sum due to rounding.
Revenues ($MM) YoY (%) QoQ (%)4Q’11 Reported Ex-FX Reported Ex-FX
Latin America $2,354 3% 9% (3)% 5%
Asia 2,020 5% 5% (2)% 1%
EMEA 332 (12)% (7)% (8)% (2)%
International RCB $4,706 2% 6% (3)% 2%
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Citicorp – Drivers in Constant Dollars
Note:(1) Constant dollars based on December 31, 2011 foreign exchange rates.
(1)
($B)
4Q’11LATAM 4Q’11 3Q’11 2Q’11 1Q’11 4Q’10 YoY QoQ
4Q’11Asia RCB 4Q’11 3Q’11 2Q’11 1Q’11 4Q’10 YoY QoQ
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Citicorp – Drivers in Constant Dollars(1)
($B)
4Q’11ICG 4Q’11 3Q’11 2Q’11 1Q’11 4Q’10 YoY QoQ
4Q’11EMEA RCB 4Q’11 3Q’11 2Q’11 1Q’11 4Q’10 YoY QoQ
Note:(1) Constant dollars based on December 31, 2011 foreign exchange rates.
40
Citicorp – Retail Partner Cards TransferPreliminary Results of Business to be Transferred ($B)
ExpensesRevenues
Net Credit Losses Loans and Net Credit Margin
1.6 1.6 1.6 1.7 1.7
4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
1.10.9 0.8
0.7 0.7
10.6%9.2% 8.5%
7.1% 7.0%
4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
0.6 0.6 0.5 0.6 0.6
4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
4241
39 39 40
4.6%6.6%
7.6%9.8% 9.8%
4Q'10 1Q'11 2Q'11 3Q'11 4Q'11Average Loans Net Credit Margin
Note: Loan loss reserves of approximately $4B as of 4Q'11 were allocated to the Retail Partner Cards business to be transferred to Citicorp.
41
Citi Holdings – LCL EBT by Business ($MM)
Note: Totals may not sum due to rounding.
42
Days Past Due:
Citi Holdings – N.A. Mortgage Delinquencies
5.93 4.87 4.54 4.53 4.18 3.30 3.45 3.49 3.39
4.663.75
2.87 2.66 2.061.61 1.39 1.43 1.58
6.14
5.785.05 4.25
3.502.92 2.54 2.39 2.51
16.74
14.40
12.46 11.43
9.75
7.84 7.38 7.32 7.47
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
180+ 90-179 30-89 30+ DPD
Residential 1st Mortgage Delinquencies(1) ($B)
Note: Totals may not sum due to rounding.(1) Days past due exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies, because the potential loss predominantly resides with the U.S.
agencies, and loans recorded at fair value since 1Q’10.
43
Citi Holdings – N.A. Mortgage Delinquencies
Days Past Due:
1.50 1.41 1.24 1.24 1.19 0.97 0.90 0.91 0.86
1.281.12
1.05 1.01 0.970.86 0.72 0.71 0.68
0.330.28
0.32 0.31 0.330.32
0.32 0.31 0.32
3.112.81
2.61 2.56 2.492.15
1.93 1.92 1.87
4Q'09 1Q'10 2Q'10 3Q'10 4Q'10 1Q'11 2Q'11 3Q'11 4Q'11
180+ 90-179 30-89 30+ DPD
Home Equity Loan Delinquencies(1) ($B)
Note: Totals may not sum due to rounding.(1) Days past due exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies, because the potential loss predominantly resides with the U.S.
agencies, and loans recorded at fair value since 1Q’10.
44
Citi Holdings – SAP Assets EOP Assets 4Q’11
($B) Face EOP Assets4Q’11 3Q’11 2Q’11 1Q’11 Value (% of Face)
Note: Totals may not sum due to rounding. NM: Not meaningful. SAP had total CRE assets of $2.9B and Subprime assets of $0.9B as of 4Q’11. Assets in the SIVs have been allocated to their corresponding asset categories. Excludes Discontinued Operations.
(1) HFS accounts for approximately $0.7B of the 4Q’11 total. (2) Includes $0.2B of Leases and $0.1B of Subprime in 4Q’11. (3) Includes $0.7B of Corporates, $1.8B of ARS, $0.3B of Equities, $0.3B of Subprime and $0.5B of CLOs in 4Q’11. (4) Includes $0.8B of Small Business Banking & Finance loans and $0.5B of personal loans in 4Q’11.
45
Citi Holdings – SAP AFS / HTM Assets
EOP Assets 4Q’11($B) Face EOP Assets
4Q’11 3Q’11 2Q’11 1Q’11 Value (% of Face)
Note: Totals may not sum due to rounding. NM: Not meaningful. Assets in the SIVs have been allocated to their corresponding asset categories.
(1) 4Q’11 includes assets previously held by SIVs ($1.6B of ABS, CDOs / CLOs and Subprime).
46
Non-GAAP Financial MeasuresRECONCILIATION OF NON-GAAP FINANCIAL MEASURES
47
Certain statements in this document are “forward-looking statements”
within the meaning of the rules and regulations of the U.S. Securities and
Exchange Commission. These statements are based on management’s
current expectations and are subject to uncertainty and changes in
circumstances. Actual results and capital and other financial condition
may differ materially from those included in these statements due to a
variety of factors, including the precautionary statements included in this
document and those contained in Citigroup’s filings with the U.S.
Securities and Exchange Commission, including without limitation the
“Risk Factors” section of Citigroup’s 2010 Form 10-K.